Fishing the Corporate Social Responsibility Risk Factors

L. Becchetti, R. Ciciretti, Ambrogio Dalò
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引用次数: 48

Abstract

Corporate Social Responsibility (CSR) is an increasingly relevant aspect in the current economic and financial scenario. A typical argument in the literature is that CSR reduces the risk of conflicts with stakeholders. In this paper we test whether: i) CSR risk factors are uncorrelated with those traditionally considered, ii) exist a pricing anomaly related to a social responsible behavior that could be captured by CSR risk factors, and iii) a multifactor model that includes a CSR risk factor performs better in explaining the cross section of expected returns. Our finding documents that CSR risk factors are uncorrelated with those traditionally used by asset pricing literature. We find that large stocks are more exposed than small stocks to this source of risk and that, even if the pricing anomaly is still significant, an asset pricing model augmented with a CSR risk factor performs better than standard models in explaining the cross section of stock returns.
企业社会责任风险因素分析
企业社会责任(CSR)在当前的经济和金融环境中越来越重要。文献中一个典型的论点是,企业社会责任降低了与利益相关者冲突的风险。在本文中,我们检验了:i)企业社会责任风险因素与传统认为的风险因素是否不相关,ii)存在与社会责任风险因素可以捕获的社会责任行为相关的定价异常,以及iii)包含企业社会责任风险因素的多因素模型在解释预期收益横截面方面表现更好。我们的发现证明,企业社会责任风险因素与传统的资产定价文献中使用的风险因素不相关。我们发现,大型股票比小型股票更容易受到这种风险来源的影响,即使定价异常仍然显著,增加了企业社会责任风险因素的资产定价模型在解释股票收益横截面方面比标准模型表现得更好。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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